EWI Options History — March 2021

In March 2021, EWI traded between $29.88 and $31.72. ATM implied volatility averaged 20.3%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.5% (HV 20d: 13.8%). Max pain ranged from $28.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.29.

Notable Days

  • 2021-03-01: Highest Volume — 267 contracts
  • 2021-03-04: Largest IV spike — 24.4% change
  • 2021-03-04: Highest IV Rank — 12.2%
  • 2021-03-04: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.06$29.88$31.72$30.48$31.49
Max Pain$31.48$28.00$40.00$28.00$40.00
ATM IV20.3%16.9%27.8%23.9%17.7%
Expected Move5.7%4.8%7.3%6.8%5.1%
HV 20d13.8%12.7%15.3%14.6%12.7%
HV 60d17.3%16.9%17.6%17.1%16.9%
IV Rank3.8%0.0%12.2%6.9%1.9%
IV Percentile6.5%0.0%46.8%17.5%1.2%
Term Structure2.8%-1.7%25.5%0.7%2.6%
VWIV19.6%11.4%26.6%11.4%17.5%
Skew 25d6.7%-0.3%11.3%10.0%5.6%
Skew 10d11.2%-2.3%19.8%19.8%5.1%
Call IV 25d16.3%11.6%21.4%17.5%11.6%
Put IV 25d23.0%17.1%27.7%27.4%17.2%
Bid-Ask Spread %54.7232.45119.3293.3133.60
Gamma HHI0.230.190.330.220.21
Net GEX88.3K48.6K122.2K48.6K122.2K
Net DEX-1.0M-2.9M4.8M-2.1M4.6M
Net VEX-7.8K-9.3K-5.8K-5.8K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.0012.750.100.00
Total Volume62.56522672674
Total OI2,704.5651,5755,8591,8175,859

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$30.48$28.0023.9%6.8%14.6%6.9%11.4%10.0%0.7%48.6K-2.1M-5.8K0.1093.31N/AN/A242251,240577
2021-03-02$30.41$28.0023.6%6.8%14.4%6.6%20.5%8.5%-1.1%62.8K-2.2M-7.4K0.0648.60N/AN/A4931,480601
2021-03-03$30.12$28.0022.3%6.4%13.9%4.8%22.8%6.5%-0.4%61.1K-2.1M-7.4K0.0037.79N/AN/A5101,529601
2021-03-04$29.88$30.0027.8%7.3%13.6%12.2%0.0%9.1%-1.7%64.0K-2.1M-7.8K0.2072.01N/AN/A1021,531606
2021-03-05$30.22$30.0024.7%6.7%13.6%8.0%23.4%11.3%1.2%64.6K-2.2M-7.3K0.8355.32N/AN/A12101,524608
2021-03-08$30.62$30.0022.8%5.7%13.7%5.5%0.0%6.1%1.7%70.6K-2.4M-6.9K0.8453.35N/AN/A25211,502598
2021-03-09$30.88$30.0020.5%5.9%13.0%2.3%18.4%8.0%1.9%69.5K-2.6M-6.9K0.0437.09N/AN/A2711,527619
2021-03-10$31.22$30.0021.4%6.1%13.5%3.6%21.6%7.2%0.6%79.6K-2.6M-6.5K0.0239.30N/AN/A5111,504619
2021-03-11$31.54$30.0017.3%4.9%13.7%0.0%0.0%6.8%3.5%97.8K-2.9M-6.6K0.0236.97N/AN/A9321,523620
2021-03-12$31.55$30.0017.9%5.1%13.7%0.9%20.7%6.6%5.8%97.3K-2.7M-7.3K12.7567.48N/AN/A81021,532620
2021-03-15$31.41$30.0021.0%6.0%13.7%4.9%21.8%7.2%1.1%90.3K-2.6M-7.4K0.1840.77N/AN/A2241,590620
2021-03-16$31.43$30.0019.5%5.6%13.4%3.0%17.5%9.6%2.3%105.3K-2.6M-7.3K10.0082.09N/AN/A5501,590626
2021-03-17$31.72$30.0021.2%6.1%12.9%5.3%23.3%1.4%2.4%90.3K-2.7M-8.2K0.07119.32N/AN/A2721,591676
2021-03-18$31.29$30.0019.0%5.5%13.9%2.4%26.6%8.1%25.5%110.0K-2.5M-8.1K3.1048.86N/AN/A10311,604678
2021-03-19$31.35$30.0019.2%5.5%13.9%2.9%0.0%6.3%2.4%105.6K-2.6M-7.9K0.0037.34N/AN/A11601,614698
2021-03-22$31.43$30.0018.5%5.3%13.8%2.3%17.4%7.6%1.3%85.1K-1.4M-8.4K0.6265.42N/AN/A47291,252323
2021-03-23$30.91$30.0018.1%5.2%15.3%1.6%19.1%0.8%1.1%79.9K-1.2M-8.6K0.0043.18N/AN/A9901,299349
2021-03-24$31.05$30.0016.9%4.8%15.2%0.0%0.0%4.2%3.6%90.7K-1.3M-8.6K0.0038.00N/AN/A201,374349
2021-03-25$31.20$30.0017.9%5.1%14.2%2.1%18.1%7.0%2.0%96.9K-1.3M-8.6K0.0033.33N/AN/A1001,375349
2021-03-26$31.38$40.0018.6%5.3%14.2%3.5%16.1%7.6%3.5%98.7K4.8M-8.6K0.0232.45N/AN/A13333,3752,349
2021-03-29$31.41$40.0020.1%5.8%13.5%6.9%0.0%10.0%0.0%117.5K4.7M-9.3K0.6783.60N/AN/A323,5012,349
2021-03-30$31.46$40.0017.2%4.9%13.4%0.7%17.7%-0.3%3.7%121.9K4.7M-9.0K0.0559.28N/AN/A10053,5042,350
2021-03-31$31.49$40.0017.7%5.1%12.7%1.9%17.5%5.6%2.6%122.2K4.6M-9.1K0.0033.60N/AN/A403,5042,355